MRCI's ScenarioSM Study

ScenarioSM Study for February NY Harbor ULSD(NYM) as of Jan 01, 2018
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		28	31	33	35	38	38	38	38	38	38	38
Closed Higher		16	23	21	16	19	23	21	22	16	17	19
Exceeded High		15	22	17	14	17	20	19	17	12	13	17
Scenario Percentage		94%	96%	81%	88%	89%	87%	90%	77%	75%	76%	89%
Avg Max Increase		9.61%	10.21%	7.54%	9.02%	10.17%	11.49%	9.41%	8.46%	12.15%	17.99%	10.09%
Max Increase		23.87%	42.31%	29.01%	25.18%	25.14%	65.58%	34.76%	21.36%	34.13%	55.32%	44.01%
Avg Days To Max Increase		16	18	16	16	18	16	16	15	19	17	15
Avg Max Decline		-1.91%	-2.11%	-2.25%	-1.28%	-3.19%	-1.42%	-2.54%	-2.40%	-2.45%	-2.81%	-1.92%
Max Decline		-12.40%	-8.55%	-8.89%	-5.26%	-16.83%	-8.09%	-12.52%	-12.46%	-8.80%	-7.99%	-6.52%
Avg Days to Max Decline		11	8	8	8	12	8	7	8	8	8	6
2017 Contract Condition		Yes	Yes	Yes	Yes	Yes		Yes	Yes		Yes	Yes
Action		Yes	Yes	Yes	Yes	No		Yes	Yes		Yes	Yes

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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		28	31	33	35	38	38	38	38	38	38	38
Closed Lower		12	8	12	19	19	15	17	16	22	21	19
Penetrated Low		7	5	7	12	15	9	11	13	19	21	13
Scenario Percentage		58%	63%	58%	63%	79%	60%	65%	81%	86%	100%	68%
Avg Max Decline		5.38%	4.81%	7.80%	9.03%	7.69%	8.78%	11.94%	11.44%	15.14%	13.92%	13.81%
Max Decline		17.08%	13.65%	20.13%	17.77%	26.48%	24.16%	39.86%	43.17%	43.10%	38.40%	29.04%
Avg Days To Max Decline		11	11	18	17	16	14	17	16	17	19	19
Avg Max Increase		-1.84%	-2.17%	-2.68%	-1.67%	-1.99%	-2.96%	-2.43%	-2.98%	-2.41%	-4.11%	-1.82%
Max Increase		-4.04%	-5.32%	-6.60%	-7.53%	-7.54%	-18.08%	-15.56%	-16.37%	-7.70%	-15.03%	-17.42%
Avg Days to Max Increase		10	7	14	4	8	11	16	8	7	14	8
2017 Contract Condition							Yes			Yes
Action							Yes			Yes
High	139.90	130.82	141.58	151.91	159.50	164.48	161.61	160.06	157.31	167.05	160.62	173.59
Low	108.60	118.90	128.96	125.05	141.10	151.32	138.25	134.72	143.37	153.52	140.43	158.00
Close/Last	129.52	130.16	135.25	149.59	157.33	158.51	140.54	149.15	157.16	153.70	158.85	172.82